Bond bubble or new normal?

Posted on 27. May, 2013 by Jean Jacques Ohana in Weekly Focus

As Ray Dalio put it in a key note about deleveraging, the key variable of deleveraging is the difference between the nominal growth and the nominal cost of debt. Provided that interest rates are maintained below the nominal growth for a long period of time, any country can eventually succeed in alleviating its debt burden. [...]

My name is “Bond”, guess my first name

Posted on 22. May, 2013 by Jean Jacques Ohana in Weekly Focus

Stories about the burst of bonds bubble have recently flourished as US interest rates have risen over the last weeks. We show in this study that bonds are not a homogeneous asset class. We have chosen to map corporate credit debt, sovereign and emerging bonds along two dimensions:

The first dimension characterizes the “risk on” or [...]

Is it the end of the bond rally?

Posted on 13. May, 2013 by Jean Jacques Ohana in Weekly Focus

The U.S. 10-year yield climbed 16 basis points this week, to 1.9 percent in New York. As shown in Figure 1, this increase has been largely due to an increase in real yields rather than expected inflation, pointing to more optimistic anticipations on the US economic outlook. This move has happened after the number of [...]

Oil WTI vs. Oil Brent: the catch up

Posted on 06. May, 2013 by Jean Jacques Ohana in Weekly Focus

The WTI / Brent ratio rose by 15% since December (figure 1), making up part of the WTI discount compared to the Brent. As the WTI is lighter and sweeter than the Brent, it can be easily refined and is therefore supposed to be worth higher than the Brent (this explains notably why the low-quality [...]